V-Lab: Russian Ruble Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Russian Ruble Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:8.08% (-0.31%)

Analysis last updated: Friday, April 26, 2024 at 07:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7155	2.98
$α$	0.1073	8.53
$β$	0.8586	57.78
$γ_{1}$	-0.2517	-1.73
$γ_{2}$	0.4550	2.23
$γ_{3}$	-0.2611	-2.62
$γ_{4}$	0.0630	0.72
$γ_{5}$	-0.0964	-1.35
$γ_{6}$	0.2515	4.78
$γ_{7}$	-0.2729	-3.83
$γ_{8}$	0.1005	1.05
$γ_{9}$	0.1358	1.41
$γ_{10}$	-0.3291	-3.04

Estimation Period:
Jan 1, 2000 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts